Random walks, dispersion and trapping

Random walks, dispersion and trapping

Nuclear Physics B (Proc Suppl ) 5A (1988) 229-233 North-Holland, Amsterdam 229 RANDOM WALKS, DISPERSION AND TRAPPING Chrlst~an VAN DEN BROECK Cente...

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Nuclear Physics B (Proc Suppl ) 5A (1988) 229-233 North-Holland, Amsterdam

229

RANDOM WALKS, DISPERSION AND TRAPPING

Chrlst~an VAN DEN BROECK Center for Studies in Statistical Mechanics,

I. INTRODUCTION

The Un~verslty of Texas, Austin,

TX 78712, USA

where um is a "velocity profile" whose form

The theory of random walks has found many applications in physics and new developments,

such

depends on the physics of the problem.

Such

problems are encountered In the study of dls-

as random walks on fracta]s I, walks with inter-

perslon of particles In flows 6, Jn line width

nal states 2, doubly stochastic walks 3, and In-

calculations 7, and so on 8.

teracting walks 4 continue to stimulate intensive research.

One of the central quantities In th]s

theory ]s the cond2tlona]

probability P(m]m0,t)

We will show that both problems are related through a simple mathematical Moreover,

the condltJona]

transformation.

probability P pro-

to go from the slte ~0 at time zero to the site

vldes a partial solution to the dispersion

m at time t. Apart from be2ng of direct Impor-

problem. We also review some recent results for

tance in many applications,

the trapping problem.

other quantltles,

such as the mean first passage time and the expected number of distinct sites vlslted Jn a walk of a given duration,

terms of P (or rather, of ~ts Laplace transform ]n tlme, ~)5.

Consider the evolution equation (I). We will suppose that the random walk, performed by the variable m~ is stationary, but ]t need not be

Here, we will ~nvestlgate two e]osely-re]ated problems,

2. DISPERSION EXPRESSED IN TERMS OF

can be expressed in

trapping and dispersion,

gives, at least, a partial

Markov]an or homogeneous.

Obviously, one has

and show that

answer to the ques-

tions that arise Jn thls context.

d_ Z UmP m = u dt m mM ~ -

The trapping

,

(2)

problem ~s, in fact, a generalization of the concept of first passage times.

A particle per-

forms a random walk over a set of states m E M,

while Jt has a probability km per unit tlme to

where ~ is the average velocity, weighted by the stationary one-time probability P(m,~) Pm"

leave the lattice while residing in state m.

Furthermore,

one has (6u : u-u):

"Leaving" may represent here d~fferent physical mechanisms such as trapping, de-excitation, genuine chemlca]

a

6x(t)

= x(t)

reaction or the actual exlt

from the set M. In the dispersion problem,

the

random walk variable m determines the rate of

- = ft6u[m(~)]d~ 0

Hence, < 6 x 2 ( t ) > = ft d'~ ft d ~0< 6u[m(r) ] 6u[m("~0) ]> 0

change of another variable x:

0

= 2f t d~ f~ d~ 0 o

dE

d---t : u m

'

(l)

0920-5632/88/$03 50 © Elsevier Science Pubhshers B V (North-Holland Physics Pubhshmg Division)

o

Z

Z

m

mo

(3)

C Van den Broeck / Random walks, dmperslon and trapping

230

Since the conditional

probabl]Ity P(m,~Im0,~0)

is a function of the time difference finds by Laplace

transformation

z-t0, one

of (4):

after a total

time t. For any given rea]Izatlon

%m' m£M, the partlc]e wl]l have covered a distance

=

Hence

sity P(x,t)-to

<6x(s)> = f~ 0 2

at position x

start at x=0,t=0)

reads: Pm0~m6Um0~(m

i os)

(5) P(x,t)

where P(m[m0,s) conditlona]

observe a particle

(given that all partlc]es

e-St<6x2(t)>dt

the probability d e n

is t h e Laplace

= f...f

{d~}~({T~},t)6(X-mEeMUm~).

transform of the On the other hand, we consider

probabl]ity P(m[m0,t).

a (Markovian)

Similar trapping process.

results can be obtained

(8)

For a cumulative

residence

for higher order moments time ~m at site m, the probability

but the Markov property

is then required

that a par-

to ticle has not decayed at this site is

obtain results

in terms of P only. exp(-~m~m).

Often, one is interested

in the long-time

havior of the dispersion <6x2(t)>,

be-

particle

Hence the probability

F(t), that a

has not exited the system at tJme t,

and one is given by:

defines

the effective

dispersion

coefflc~ent:

= f...f

F(t) K = llm <6x2(t)> - llm s2<6~2(s)> t÷~ 2t s+0 2

{d%m} ~({zm},t)exp(-mZeM %~m) . ( 9 )

(6)

' Note that in (8), u m stands change, while in (9),

provided

these ]imlts exist.

Moreover,

usually prove that the probability P(x,t) asymptotlca]]y

one can

decay)

rate.

tlve.

It is, however,

The latter are necessarl]y

pos~-

density

attains a Gausslan

always posslb]e

to con-

form: sider positive ve]ocJtles

P(x,t)

for a rate of

km denotes an exit (or

u m > 0, such that:

~ [2~<6x2(t)>] - t / 2 um =

exp[-(x-)2/2<~2(t)>]

~mli

,

(I0)

(7) with

This result then, combined with (2) and (6), completely ior.

describes

the asymptotic

Note also that the evaluation

requires

the "low frequency"

which can be obtained

i =

Z

behavior

of P,

For this choice of the ve]ocltles easily verifies

cumulative

f~

(12)

dx e_~X P(x,t)

0

this relation we will restrict

to Markovlan

the probability

In (8), one

that:

in many cases of interest. V(t) =

To establish

(ll)

time behavof K only

3. RELATION BETWEEN TRAPPING AND DISPERSION

ourselves

~Pm

density

residence

walks and we introduce ~({~m'~

a M},t) for

times ~m at the sites m,

Hence, Laplace

the life time distribution

F is the

transform in space of P(x,t).

that P(x,t) is zero for negative

(Note

values of x

231

C Van den Broeck / Random walks, dlsperszon and trappmg

since all the velocities tunately,

are positive).

Unfor-

P(x,t) is only known In a few particu-

lar cases, such as a dlchotom~c a Kubo-Anderson

(15)

type of random walk I0. Moreover,

in many cass, a direct ca]cu]atlon out to be much simpler.

in the dispersion

of F(t) turns

Nevertheless,

(12) allows one to translate

results,

the result

The result (12) is, in this context,

obtained

helpful

problem to the trapping prob-

lem (and vice versa). approaches

= f~ dt t(- d ~ t t )) = f ¢o dt F(t) 0 0

state space 9 or

For example,

if P(x,t)

the Gaussian form (7) in the long-

time limit with the first two moments given by

not very

since P(x,t) is usually not known for

all times.

In [12], we have therefore

engaged

in a more direct approach of the trapping problem, and we want to report here a few results. We again consider a Markovlan nearest neighbor random walk on a set of states m=1,...,N,

(2) and (6), one finds for F(t):

transition

with

rates Wm,m± 1 (and WN, 1 = WI, N = 0).

We could not flnd the value of • for the

(t3)

F(t) ~ exp[-(~ - Ki2)t]

genera]

case of decay rates km, m = I,...,N.

However, We conclude Markovlan

that the trapping problem becomes

in the long time limit,

exponentla]

form, with a trapping

smaller than the weighted

set of N states m=],...,N,wlth the transition

i.e., F has an rate somewhat

1

average ~. In the case

of a Markovlan nearest neighbor

km*Pm*

random walk on a Wm, m±l denoting

rates per unit time between m and

m+l or m-l, (with reflecting

for a]] the rates equal to zero,

except one of them, say km, ¢ 0, we found:

boundary

conditions

+

N iSr+-(Pirm*) i • j=r+i

Z r=l

~ ~"

,

(16)

Wr,r+l Pr

WN, 1 = WI, N = 0) the asymptotic Gausslan nature of P was rigorously

proven in reference

[11],

while the value of K was derived in reference

[5]:

0 where pj Js the probability

that the particle

starts at site j at time t : 0. Another case for which an exact solution could be obtained is the gambler's r

K=

n-1 [s_-E1 (Us-U)Ps] 2 Z r=1

ruin problem with trapping

centers at both extremities

of the chain:

(14)

Wr,r+ 1 Pr Kr km : k I ~ , i + ~

Kr 6m,N

(~7)

One then has: In the corresponding

trapping problem,

the N-I I]-I = [klP1+kNPN+kl plkNpN r=Zl(Wr,r+iPr )-

result (13) is obtaJned.

4. FURTHER RESULTS FOR THE TRAPPING PROBLEM The mean exit time ~, i.e., the average time that a particle

spends ~n the set M before exit,

is given by the fol]owlng expression that F(~)=0)

(supposing

]

[l + ~ kip ikNPN

N-I • r=l

I

N-I 51

]

Wr,r+lPr q=l Wq,q+lPq

N N N N ( Z - Z IPI( ~ -' ~ +IIP~ i=r+l i=q+l j=r+l 3=q

232

C Van den Broeck / Random walks, dtsperston and trapping N-I ] N N E Pi Z pO Z (klPl l=r+l jffir+l J rffil Wr~r + Pr

+ ~PN

obtains (for p~ = Pm' we write superscript w for the weak coupling ]~mlt):

r r 0 Z el I pj)J . i=I j=~

(~8)

~w =

~. meM

This expression Is rather complicated,

but its

generality allows one to investigate several interesting cases.

For example,

(18) reduces in

the llmlt k I + 0, to the well-known result for

~Ipm . -

(21)

One can moreover prove that • is a monotonously decreasing function of the parameter C, starting from its upper limit

~w at C = 0 and ap-

proachlng its lower limit ~s when C ÷ =:

the mean first passage time in the usual onedimenslona] and ~

random walk 13.

In the limit k I ÷ < ~ < ~w

÷ =, ~ becomes the mean first passage

(22)

time to the site 1 or N, and (18) reduces to the simpler form

The equality

~ = ~s = ~w only holds ~f all the

rates km are equal. ~N- 1 ~N- 1 i( N =~q r= [--~1(Wr'r+IPr)-~-Z1(Wq'q+IPq)-~-~ ~-~ i=r+l-JZ +I ) N

N

~ . N-I

]

(19)

[12], we also

give the first order correction terms to ~w and ~s.

1

• pi(j=Zr+l-j=Zq+l)p~J/[mr__Zl(Wr,r+lPr)-

In reference

As a partlcu]ar case, a result consistent

with (13) and (14) is recovered.

For further

discussion and comparison with related results So far, we have considered genera]

InltJa]

in the literature,

we refer to reference

[12].

conditions p~ for the particle. A case of practlca] interest for which some further progress can be made is p~ = Pm' i.e., the particles are distributed according to the steady state dis-

slows down the transition rates W In a uniform

extreme cases are worth considering.

the N.F.W.O.,

Be]glum.

For correspondence

B-36|0 D1epenbeek,

Belgium.

Note

that Pm remains unchanged when one speeds up or

way, i.e., by replacing Wm,m± 1 by CWm,m± I.

C. V.d.B. is "Bevoegdverklaard Navorser" at

write to L.U.C.,

trlbutlon reached in absence of the decay or exit mechanism described by the rates km.

ACKNOWLEDGEMENT

Two

REFERENCES I. J.W. Haus and K.W. Kehr, Phys. Rep. 150 (1987) 265.

In the so-

ca]led strong coupling limit (or fast modu]atlon

2. v. Landman and M.F. BI9 (1979) 6207.

Sh]eslnger,

Phys. Rev.

limit), we let C + =, so that the time scale of the random walk transitions are much faster than the decay times ~ I .

In this case, one can prove

that ~ approaches the limit

~s:

rs = (mZeM kmPm) -I

3. S. Alexander, J. Be rnasconl, W.R. Schneider and R. Orbach, Rev. Mod. Phys. 5 3 (]98|) 175. 4. M.E. Fisher, J. Star. Phys. 34 (]983) 667.

(20)

5. E.W. Montroll and G.H. Weiss, J. Math. Phys. ! (]965) 167. 6. C. Van den Broeck and R.M. Mazo, J. Chem. Phys. 81 (1984) 3624.

On the other hand, the random walk dynamics are turned off in the limit C ÷ 0, so that one

7. R.M. Mazo and C. Van den Broeck, Phys. Rev. A34 (1986) 2364.

C Van den Broeck / Random walks, dtsper~ton and trapping

8. H. Brenner, Phys. Chem. Hydrodyn. I (1980) 91; N.G. Van Kampen, Physlca 96A (]-979); R. Axis, Intracellular Transport. 5 (1966) 167; R. Hersch, Rocky Mountain J. Math. 4 (1974) 443: D.W. McLaughlln, G.C. Papanlcolaou and O.R. Pironneau, SIAM J. Appl. Math. 4 5 (1985) 780. 9. S. Goldsteln, Quart. J. Mech. Appl. Math. 4 (1951) 129; J.C. Giddlngs, J. Chem. Phys. ~| (1959) 146. I0. P.W. Anderson, J. Phys. Soc. Jap. 9 (1954) 316; R. Kubo, J. Phys. Soc. Jap. 9y(1954) 935. ll.M. Plnsky, Z. Wahr. Verw. Geb. 9 (1968) 101. 12. C. Van den Broeck and M. Bouten, J. Star. Phys. 45 (1986) 1031. 13. G.H. Weiss, J. Star. Phys. 24 (1981) 587; D.T. Gillespie, Physlca A95 (1979) 69.

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